The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market

Chun-nan Chen

International Review of Economics & Finance, 2013, vol. 25, issue C, 272-281

Abstract: This study provides evidence for the predictive power of the open-period returns for the returns of the rest of the trading day. Using the first two consecutive 5-minute periods after the opening as observation points from which to determine the trading direction, this study examines whether the effect of open-period intraday cumulative index futures returns can persist toward the close of the market. The strategy is tested using intraday data of Taiwan Stock Index Futures (TX) over the 2001–2006 period. The results consistently show that the opening return can predict the return of the trading day and the trading strategy based on the opening return is profitable even after considering transaction costs. The results are robust to uses of different index futures.

Keywords: Intraday return predictability; Index returns; Futures market (search for similar items in EconPapers)
JEL-codes: G11 G15 G17 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105905601200072X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:25:y:2013:i:c:p:272-281

DOI: 10.1016/j.iref.2012.07.012

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().